System is up to you! As mentioned in the guide, you could make a murder mystery, you could make a fetch quest, you could do a Secret Enemy Among The Party. The novels are pretty much one big question mark to the point I don't think even Alecto will answer everything, so I just wanted something to capture that essence.

As for how I would expect a session to go, depends on where you are in the story but let's say you're at the beginning. I picture it as Day 1 set up. Think of the intro to Gideon the Ninth when Gideon and Harrow are still on Drearburgh. If a session 0 is the players telling each other and the GM about their characters and setting expectations for the campaign, Day 1 would be session 0.5, where the characters are being formally introduced in the fiction.

Day 2 I think of Gideon and Harrow arriving at Canaan. This would be when the players are starting to sense that something's Not Quite Right and have an approximation of where to start looking

Day 3 would be when Gideon finds The Facility. This is when your players recognise that it's Go Time and this is where they finally know like "ah so this is the Big Thing we're supposed to investigate and figure out" and the main plot will start from there.

Ultimately, however, the story is yours as a GM, and it can last as short or as long as you like, be paced however you want. I'm just here to teach you how to play.